Credit Risk research

99 research papers

This report from Chartis provides an independent evaluation and description of leading practices from FICO as well as summarizing demand-side and supply-side analysis concerning the introduction of IFRS 9. IFRS 9 is a high impact symbolic, operational, IT and organizational transformation event for…

IFRS 9 is a high impact symbolic, operational, IT and organizational transformation event for Finance and Risk: an arranged marriage that is turning an uncomfortable courtship and good intentions into a successful partnership greater than the sum of its parts. It is one of a few interlinked,…

Progress towards full BCBS 239 compliance has been slow. The principles-based approach of BCBS 239, coupled with the current lack of compliance benchmarks means that banks are unsure of what exactly “good looks like” in their particular case, and this will differ for each bank. Further problems…

The objective of managing a bank’s balance sheet is to optimize reward versus risk. This requires: An assessment and statement of the bank’s appetite for risk leading to the establishment of Key Risk Indicators (KRIs) within a Risk Appetite framework. A determination by the Bank’s Board of a target…

The formal phase of consultations between banks and regulators on FRTB has ended, and the biggest change to market risk capital requirements in over a decade has been finalized. Now banks are in a race against the regulatory deadline, and must choose the most efficient path to overhaul their risk…

Banks, vendors of systems and regulators all recognize that the design and implementation of systems to manage credit risk in the banking book is a major undertaking. Three factors, namely changing regulation, uncertain economic outlook, and possibly deficient systems are challenging vendors of…

IFRS 9 is a high impact symbolic, operational, IT and organizational transformation event for Finance and Risk: an arranged marriage that is turning an uncomfortable courtship and good intentions into a powerful successful partnership that is greater than the sum of its parts. It is one of a few…